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El Producto Potencial en Colombia: Una Estimación Bajo VAR Estructural

Listed author(s):
  • Martha Misas


  • Enrique López


Hoy en dia es corriente la utilización de estimativos del producto potencial en modelos macroeconómicos construidos con fines predictivos. En estos modelos la brecha entre el producto efectivo y el potencial es una variable esencial que determina la evolución de los precios y salarios. Desde la publicación del trabajo de Nelson y Plosser (1982), que sugiere que las series del producto se caracterizan de manera más adecuada como series integradas, ha habido un creciente reconocimiento acerca de la dificultad de medir el componente permanente de esa variable, o producto potencial. La presencia de un componente permanente estocástico implica que el prodcuto potencial no pueda ser tratado como una tendencia determinística. Como resultado, varios métodos se han desarrollado para descubrir el componente tgransitorio de las series. El objetivo central de este trabajo es presentar un estimativo del producto potencial para Colombia, utilizando para ello el método de vectores autorregresivos estructurales (VAR estructural). En particular, el cálculo se apoya en el enfoque de Blanchard y Quah (1989), que utiliza un sistema de dos variables con el cual se obtiene una identificación exacta a partir de una restricción teórica de largo plazo. Como se sabe, la brecha del producto construida con base en el producto potencial, es una variable importante de la curva de Phillips. De esa forma, en el documento se utiliza el cálculo obtenido con base en el método Var estructural para estimar un modelo de incremento de la inflación derivado de esa formulación. Se busca como resultado del ejercicio dar elementos para las decisiones de política económica.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 094.

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Handle: RePEc:bdr:borrec:094
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  1. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Working Papers-Department of Finance Canada 1996-2, Department of Finance Canada.
  3. Martha Misas A. & Marla Ripoll N. & Enrique López E., 1995. "Una Descripción Del Ciclo Industrial En Colombia," BORRADORES DE ECONOMIA 003707, BANCO DE LA REPÚBLICA.
  4. Roberto Junguito B. & Enrique López & Martha Misas & Eduardo Sarmiento, "undated". "La Edificación y la Política Macroeconómica," Borradores de Economia 041, Banco de la Republica de Colombia.
  5. Hatanaka, Michio, 1996. "Time-Series-Based Econometrics: Unit Roots and Co-integrations," OUP Catalogue, Oxford University Press, number 9780198773535.
  6. Alain DeSerres & Alain Guay & Pierre St-Amant, 1995. "Estimating and Projecting Potential Output Using Structural VAR Methodology," Macroeconomics 9504003, EconWPA.
  7. Matthew Shapiro & Mark Watson, 1988. "Sources of Business Cycles Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156 National Bureau of Economic Research, Inc.
  8. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
  9. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
  10. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  11. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  12. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  13. Luis Fernando Melo & Alvaro Riascos, "undated". "El Producto Potencial utilizando el Filtro de Hodrick- Prescott con Parámetro de Suavización Variable y Ajustado por Inflación: Una Aplicación para Colombia," Borradores de Economia 083, Banco de la Republica de Colombia.
  14. Chantal Dupasquier & Alain Guay & Pierre St-Amant, 1997. "A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap," Staff Working Papers 97-5, Bank of Canada.
  15. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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